Pardiso works fine within a MPI environment, however it can't be used as a distributed solver (for that, you might want to check http://www.pardiso-project.org/). Concerning your errors, do you link against libiomp5 and activate OpenMP support (-openmp -liomp5) ? If you are using GNU compilers, that might be something like -fopenmp -lgomp.

Actually, there is some research version of pardiso for distributed version. Can you elaborate with us some more details about the task you are solving? In the case if some restricted info - you can use the private message for that. Probably I can give you this package for evaluation.